Derivs - Interest Rate

The current mismatch between supply and demand of volatility in European rates has opened up the opportunity to buy EUR at-the-money-forward payers versus out-of-the-money payers, according to Credit Suisse.

A lucrative relative value trade on Japanese government bonds could dry up next year if the Bank of Japan shifts the way it implements its bond buying program to mimic the one used by the U.S. Federal Reserve, in an effort to meet a 2% inflation target.

The Securities Industry and Financial Markets Association’s Asset Management Group and the International Swaps and Derivatives Association have developed an identification number, known as a Committee on Uniform Securities Identification Procedures number, for the market agreed coupon contracts that the trade bodies developed earlier this year.

trueEX has executed its first trades with AllianceBernstein, JPMorgan, MKP Capital and Société Générale on its automated portfolio terminations and compactions platform.

Initial margin requirements for clearing interest rate swaps could force buysiders to turn to futures to avoid the collateral cost of clearing. That’s the view of Luke Hickmore, investment director of credit at Scottish Widows Investment Partnership, speaking at the Futures Options World Derivatives World Conference in London on Tuesday.

Standard Chartered has cleared its first over-the-counter interest rate swap for a client via LCH.Clearnet’s SwapClear service.

The Volcker Rule, which was approved by five regulatory agencies on Tuesday, is fundamentally flawed and imposes significant obligations upon market participants at a considerable cost, according to Scott O’Malia, Commissioner at the U.S. Commodity Futures Trading Commission.

The International Swaps and Derivatives Association has sought understanding from the Basel Committee on Banking Supervision and the International Organization of Securities Commissions’ Working Group On Margin Requirements to develop a standard initial margin model for margining non-cleared derivatives.

New swap execution facilities are going to struggle to compete with other more established SEFs in 2014, according to Will Rhode, principal, director of fixed income at TABB Group, in New York.

U.K.-based Kames Capital has hired Nick Chatters as an investment manager in fixed income derivatives.

The China Securities Regulatory Commission plans to push for further foreign participation in the country’s derivatives markets in 2014, allowing foreign institutional investment firms to develop brokerages and overseas branches on the mainland.

The search for alpha has led more and more buyside organizations, including pension funds, to turn to derivatives. But, in many cases, investor appetite for these products has outpaced the technology used for processing them.